Sep
5
Acceptability Indices via g-Expectation
Markov Copula Description Tao Chen Title: Acceptability Indices via g-Expectation Mr. Tao Chen will continue presenting what he started this week. Mariusz Neieweglowski Title: Markov Copula Dr...
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Aug
27
Acceptability Indices via g-Expectation
Description Mr. Tao Chen will report on the paper by Rosazza Gianin and Sgarra: Acceptability indexes via g-expectations: an application to liquidity risk. After recalling the work done by Cherny and...
Nov
12
On the Finite Horizon American Option Pricing Problem: A Proof of Smoothness and an Exponentially Fast Converging Scheme
Speaker Erhan Bayraktar University of Michigan http://www.math.lsa.umich.edu/~erhan/ Description We give a new proof of the fact that the value function of the finite time horizon American put option...
Oct
8
Applications of Malliavin Calculus to Random Field Regularity, to Fractional Brownian Integration, and Beyond
Speaker Fredei Viens Purdue University http://www.stat.purdue.edu/~viens/ Description Malliavin's derivative operator is an exceedingly useful tool in probability theory, stochastic analysis, and...
Oct
8
Applications of Malliavin Calculus to Random Field Regularity, to Fractional Brownian Integration, and Beyond
SpeakerFrederi ViensPurdue Universityhttp://www.stat.purdue.edu/~viens/ Description Malliavin's derivative operator is an exceedingly useful tool in probability theory, stochastic analysis, and...
Apr
25
Markov Copulae and applications in finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
24
Tsallis Statistics - A New Paradigm In Statistical Mechanics With Applications in Finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
16
Two-Level Simulations for Risk Measurement
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
11
About a class of doubly reflected BSDES
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
4
Risk Measures and Nonlinear Expectations
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation